Momentum · month-end rule · Healthcare
12-1 Momentum on Alnylam Pharmaceuticals
What the play says
Latest reading: 12-1 return −47.2%
ALNY with the play, last two years
Shading shows the play's call from the close that triggered it.
Return from 12 months to 1 month ago
Dashed line at 0.
Growth of $10,000 since 2005
Log scale. After trading costs, with T-bill interest while out.
The record
The play against buying and holding ALNY over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +14.0% | +17.6% | −4.5% | +1.9% |
| Total return | +1,524% | +3,004% | −20% | +10% |
| Worst drawdown | −68.3% | −83.6% | −47.4% | −58.2% |
| Volatility | 44.5% | 56.9% | 35.2% | 50.9% |
| Sharpe ratio | 0.46 | 0.53 | −0.06 | 0.21 |
| Time invested | 63% | 100% | ||
| Switches per year | 0.8 | 0 |
Every call, graded
Right on 6 of 18 closed calls (33%). In calls averaged +82.2%; out calls saw ALNY move +17.7% on average.
| Called | Call | Price | Until | ALNY moved | Result |
|---|---|---|---|---|---|
| Jun 30, 2026 | OUT | $301.03 | now | −25.6% | open |
| Jul 31, 2024 | IN | $237.46 | Jun 30, 2026 | +26.8% | ✓ right |
| Aug 31, 2023 | OUT | $197.82 | Jul 31, 2024 | +20.0% | ✕ wrong |
| Sep 30, 2022 | IN | $200.16 | Aug 31, 2023 | −1.2% | ✕ wrong |
| May 31, 2022 | OUT | $125.80 | Sep 30, 2022 | +59.1% | ✕ wrong |
| Mar 31, 2022 | IN | $163.29 | May 31, 2022 | −23.0% | ✕ wrong |
| Feb 28, 2022 | OUT | $157.85 | Mar 31, 2022 | +3.4% | ✕ wrong |
| Jul 30, 2021 | IN | $178.94 | Feb 28, 2022 | −11.8% | ✕ wrong |
| Jun 30, 2021 | OUT | $169.52 | Jul 30, 2021 | +5.6% | ✕ wrong |
| Nov 29, 2019 | IN | $117.14 | Jun 30, 2021 | +44.7% | ✓ right |
| Oct 31, 2018 | OUT | $80.43 | Nov 29, 2019 | +45.6% | ✕ wrong |
| Jun 30, 2017 | IN | $79.76 | Oct 31, 2018 | +0.8% | ✓ right |
An in call is right when the price rose before the next call; an out call is right when it fell. The latest 12 of 19 calls shown.
How the play works
- In at month-end when the return from 12 months ago to 1 month ago is above zero.
- Out when it is zero or below.
Jegadeesh and Titman ranked thousands of stocks and bought the winners. Testing one stock against zero is time-series momentum, a related idea.
The skip-a-month form came later; their 1993 paper skipped at most a week.
The case against
Valeriy Zakamulin tested moving-average timing on up to 155 years of U.S. stock data and found no statistically significant edge in the second half of that record. The rules earned their keep in a few severe bear markets and lagged buy and hold for long stretches in between.